3ds max user want to find Refine and Connect tool in blender
As far as I know there is no such tool in Blender, mainly because curves in Blender can't branch.
One workaround is to select an vertex you wish to connect beforehand, duplicate them with ⇧ Shift +  D, Right-Click to cancel and leave them in place.
Then just press  F a bunch of times to connect them.

Beware that Blender doesn't really memorize selection sequence, the connection order will depend on the spline index the vertex was derived from, so it may not always yield expected results if the original splines were not created in the same order you want them connected.
Another potential caveat is that splines must be all of the same type (bezier, poly or NURBs), and belong to the same object, otherwise you will not be able to connect them.